https://scholars.lib.ntu.edu.tw/handle/123456789/103736
標題: | 標的物不可交易下的選擇權評價(1/3) | 其他標題: | Valuation of Options When Underlying Assets are Non-tradable(1/3) | 作者: | 洪茂蔚 | 關鍵字: | weather derivatives;non-traded asset;incomplete market | 公開日期: | 2004 | 出版社: | 臺北市:國立臺灣大學國際企業學系暨研究所 | 摘要: | One of the most difficult features of pricing weather derivatives is that the mar-ket is incomplete. This project presents a new method for pricing weather deriva-tives in an incomplete market. The proposed method has two advantages shown in only a few of the models discussed in other weather-related articles. First, the method for pricing assets in an incomplete market is used to overcome the non-tradable feature of the underlying assets of the weather derivatives in which the no-arbitrage method breaks down. Second, an efficient analytical method is incor-porated into the proposed model to make the Asian-type payout of weather deriva-tives much easier to evaluate than by any other numerical methods. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/17044 | 其他識別: | 922416H002018 | Rights: | 國立臺灣大學國際企業學系暨研究所 |
顯示於: | 國際企業學系 |
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922416H002018.pdf | 63.24 kB | Adobe PDF | 檢視/開啟 |
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